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Systematic jump risk
Multi angle
Authors : Jacod, Jean (Author of the conference)
CIRM (Publisher )
60F17 - Functional limit theorems; invariance principles
60J76 - Jump processes on general state spaces
CIRM (Publisher )
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Abstract :
In a factor model for a large panel of N asset prices, a random time $S$ is called a 'systematic jump time' if it is not a jump time of any of the factors, but nevertheless is a jump time for a significant number of prices: one might for example think that those $S$ 's are jump times of some hidden or unspecified factors. Our aim is to test whether such systematic jumps exist and, if they do, to estimate a suitably defined 'aggregated measure' of their sizes. The setting is the usual high frequency setting with a finite time horizon $T$ and observations of all prices and factors at the times $iT /n$ for $i = 0, . . . , n$. We suppose that both $n$ and $N$ are large, and the asymptotic results (including feasible estimation of the above aggregate measure) are given when both go to $\infty$, without imposing restrictions on their relative size.
(joint work with Huidi Lin and Viktor Todorov)
Keywords : limit theorems; factor model; jumps
MSC Codes : (joint work with Huidi Lin and Viktor Todorov)
Keywords : limit theorems; factor model; jumps
60F17 - Functional limit theorems; invariance principles
60J76 - Jump processes on general state spaces
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Information on the Video
Film maker : Recanzone, LucaLanguage : English Available date : 27/09/2023 Conference Date : 06/09/2023 Subseries : Research talks arXiv category : Probability Mathematical Area(s) : Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:39:27 Targeted Audience : Researchers ; Graduate Students ; Doctoral Students, Post-Doctoral Students Download : https://videos.cirm-math.fr/2023-09-06_Jacod.mp4 
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Information on the Event
Event Title : A Random Walk in the Land of Stochastic Analysis and Numerical Probability / Une marche aléatoire dans l'analyse stochastique et les probabilités numériquesEvent Organizers : Champagnat, Nicolas ; Pagès, Gilles ; Tanré, Etienne ; Tomašević, Milica Dates : 04/09/2023 - 08/09/2023 Event Year : 2023 Event URL : https://conferences.cirm-math.fr/2390.html
Citation Data
DOI : 10.24350/CIRM.V.20088303Cite this video as: Jacod, Jean (2023). Systematic jump risk. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.20088303 URI : http://dx.doi.org/10.24350/CIRM.V.20088303 |
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Bibliography
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